Continuous-time mean-variance efficiency: The 80% rule
This paper studies a continuous-time market where an agent, having specified an investment horizon and a targeted terminal mean return, seeks to minimize the variance of the return. The optimal portfolio of such a problem is called mean-variance efficient à la Markowitz. It is shown that, when the m...
| Главные авторы: | , |
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| Формат: | Journal article |
| Язык: | English |
| Опубликовано: |
2006
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